Tác động của rủi ro thanh khoản đến khả năng sinh lời trong đại dịch COVID-19: Trường hợp các ngân hàng thương mại Việt Nam
Từ khóa:
Ngân hàng thương mại, COVID-19, rủi ro thanh khoản, khả năng sinh lời, S-GMM, Việt NamTóm tắt
Nghiên cứu này kiểm tra tác động của rủi ro thanh khoản đến khả năng sinh lời của các ngân hàng thương mại Việt Nam giai đoạn 2010-2023. Dựa vào dữ liệu bảng cân bằng của 26 ngân hàng thương mại tại Việt Nam, nghiên cứu phân tích theo phương pháp ước lượng hệ thống tổng quát thời điểm (S-GMM). Kết quả cho thấy rủi ro thanh khoản có tác động ngược chiều đến khả năng sinh lời. Tuy nhiên, trong giai đoạn đại dịch COVID-19, tác động này thuận chiều, ngụ ý rằng trong sự hỗ trợ từ chính sách giai đoạn đại dịch giúp nâng cao khả năng sinh lời cho các ngân hàng thương mại mặc dù rủi ro thanh khoản tăng lên. Ngoài ra, với các biến kiểm soát, quy mô ngân hàng và sự tương tác giữa quy mô ngân hàng và COVID-19 đều ảnh hưởng cùng chiều khả năng sinh lời của ngân hàng thương mại. Các khuyến nghị cũng được thảo luận trong nghiên cứu.
Tài liệu tham khảo
Abdul-Rahman, A., Sulaiman, A.A. & Mohd Said, N.L.H. (2018), ‘Does financing structure affects bank liquidity risk?’, Pacific Basin Finance Journal, 52, 26-39. https://doi.org/https://doi.org/10.1016/j.pacfin.2017.04.004.
Acharya, V. & Naqvi, H. (2012), ‘The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle’, Journal of Financial Economics, 106(2), 349-366. https://doi.org/https://doi.org/10.1016/j.jfineco.2012.05.014.
Adusei, M. (2021), ‘The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions’, Managerial and Decision Economics, 43(1), 31-47. https://doi.org/10.1002/mde.3357.
Allison, P.D. & Richard, P.W. (2002), ‘Fixed-effects negative binomial regression models’, Sociological Methodology, 32(1), 247-265. https://doi.org/https://doi.org/10.1111/1467-9531.00117.
Antoniou, A., Guney, Y. & Paudyal, K. (2006), ‘The determinants of debt maturity structure: Evidence from France, Germany and the UK’, European Financial Management, 12(2), 161-194. https://doi.org/https://doi.org/10.1111/j.1354-7798.2006.00315.x
Arellano, M. & Bond, S. (1991), ‘Some tests of specification for panel data: Monte carlo evidence and an application to employment equations’, Review of Economic Studies, 58(2), 277-297. https://doi.org/https://doi.org/10.2307/2297968.
Arellano, M. & Boverb, O. (1995), ‘Another look at the instrumental variable estimation of error-components models’, Journal of Econometrics, 68(1), 29-51. https://doi.org/https://doi.org/10.1016/0304-4076(94)01642-D.
Arif, A. & Anees, N.A. (2012), ‘Liquidity risk and performance of banking system’, Journal of Financial Regulation and Compliance, 20(2), 182-195. https://doi.org/10.1108/13581981211218342.
Athanasoglou, P.P., Brissimis, S.N. & Delis, M.D. (2008), ‘Bank-specific, industry-specific and macroeconomic determinants of bank profitability’, Journal of International Financial Markets, Institutions and Money, 18(2), 121-136. https://doi.org/10.1016/j.intfin.2006.07.001.
Baltensperger, E. (1980), ‘Alternative approaches to the theory of the banking firm’, Journal of Monetary Economics, 6(1), 1-37. https://doi.org/https://doi.org/10.1016/0304-3932(80)90016-1
Basel Committee on Banking Supervision (2008), Principles for Sound Liquidity Risk Management and Supervision, Bank for International Settlements.
Baum, C.F., Schaffer, M.E. & Stillman, S. (2003), ‘Instrumental variables and GMM: Estimation and Testing’, Stata Journal, 3(1), 1-31. https://doi.org/https://doi.org/10.1177/1536867X0300300.
Berger, A.N. (1995), ‘The profit-structure relationship in banking--tests of market-power and efficient-structure hypotheses’, Journal of Money, Credit and Banking, 27(2), 404-431. https://doi.org/https://doi.org/10.2307/2077876.
Blundell, R. & Bond, S. (1998), ‘Initial conditions and moment restrictions in dynamic panel data models’, Journal of Econometrics, 87(1), 115-143. https://doi.org/https://doi.org/10.1016/S0304-4076(98)00009-8.
Demsetz, H. (1973), ‘Industry structure, market rivalry, and public policy’, Journal of Law and Economics, 16(1), 1-9. https://doi.org/https://doi.org/10.1086/466752.
Dietrich, A. & Wanzenried, G. (2011), ‘Determinants of bank profitability before and during the crisis: Evidence from Switzerland’, Journal of International Financial Markets, Institutions and Money, 21(3), 307-327. https://doi.org/10.1016/j.intfin.2010.11.002.
Doan, T.H., Hoang, T.T.H., Tran, T.H. & Nguyen, T.K.P. (2022), ‘Factors affecting liquidity of commercial banks in Vietnam’, Proceedings on Engineering Sciences, 4(2), 115-124. https://doi.org/10.24874/PES04.02.002.
Drehmann, M. & Nikolaou, K. (2013), ‘Funding liquidity risk: Definition and measurement’, Journal of Banking and Finance, 37(7), 2173-2182. https://doi.org/10.1016/j.jbankfin.2012.01.002.
Ebenezer, O.O., Islam, Md. A., Yusoff, W.S. & Rahman, S. (2019), ‘The effects of liquidity risk and interest-rate risk on profitability and firm value among banks in ASEAN-5 countries’, Journal of Reviews on Global Economics, 8, 337-349. https://doi.org/10.6000/1929-7092.2019.08.29.
Effiong, Dr.S.A. & Enya, E.F. (2020), ‘Liquidity risk management and financial performance: Are consumer goods companies involved?’, International Journal of Recent Technology and Engineering (IJRTE), 9(1), 580-589. https://doi.org/10.35940/ijrte.A1692.059120.
Góes, C. (2016), ‘Institutions and growth: A GMM/IV panel VAR approach’, Economics Letters, 138, 85-91. https://doi.org/https://doi.org/10.1016/j.econlet.2015.11.024.
Gujarati, D.N. & Porter, D.C. (2009), Basic econometrics, McGraw-Hill.
Hansen, L.P. (1982), ‘Large sample properties of generalized method of moments estimators’, Econometrica, 50(4), 1029-1054. https://doi.org/https://doi.org/10.2307/1912775.
Haris, M., Yao, H.X. & Fatima, H. (2024), ‘The impact of liquidity risk and credit risk on bank profitability during COVID-19’, PLoS ONE, 19(9), e0308356. https://doi.org/10.1371/journal.pone.0308356.
Keynes, J.M. (1936), The General Theory of Employment, Interest and Money, Palgrave Macmillan.
Le, N.T.T., Do, T.T.N., Nguyen, T.N.H. & Wong, W.K. (2021), ‘Does bank liquidity risk lead to bank’s operational efficiency? A study in Vietnam’, Advances in Decision Sciences, 25(4), 1-43.
Madhuwanthi, R.M.R. & Morawakage, P.S. (2019), ‘Impact of liquidity risk on the performances of Sri Lankan commercial banks’, Sri Lanka Journal of Social Sciences, 42(1), 53-64. https://doi.org/10.4038/sljss.v42i1.7572.
Mennawi, A.N.A. (2020), ‘the impact of liquidity, credit, financial leverage risks on financial performance of Islamic banks: The case of Sudanese banking sector’, International Journal of Applied Economics, Finance and Accounting, 8(2), 73-83. https://doi.org/10.33094/8.2017.2020.82.73.83
Myers, S.C. (1984), ‘Capital Structure Puzzle’, Journal of Finance, 32(2), 575-592. https://doi.org/10.3386/w1393.
Nguyen, H.H., Nguyen, T.P. & Tram Tran, A.N. (2022), ‘Impacts of monetary policy transmission on bank performance and risk in the Vietnamese market: Does the Covid-19 pandemic matter?’, Cogent Business & Management, 9(1), 2094591. https://doi.org/https://doi.org/10.1080/23311975.2022.2094591.
Obeid, R. & Adeinat, M. (2017), ‘International journal of economics and financial issues determinants of net interest margin: An analytical study on the commercial banks operating in Jordan (2005-2015)’, International Journal of Economics and Financial Issues, 7(4), 515-525. https://doi.org/10.13140/RG.2.2.19253.37600.
Olofin, A.J., Muritala, T.A., Maitala, F., Abubakar, H.L. & Ajalie, S.N. (2024), ‘The impact of liquidity risk on profitability of listed deposit money banks in Nigeria’, International Journal of Professional Business Review, 9(6), 1-24. https://doi.org/10.26668/businessreview/2024.v9i6.4777.
Prochnow, H.V. (1949), ‘American finance association bank liquidity and the new doctrine of anticipated income’, Journal of Finance, 4(4), 298-314. https://doi.org/https://doi.org/10.2307/2975424.
Rhoades, S.A. (1998), ‘The efficiency effects of bank mergers: An overview of case studies of nine mergers’, Journal of Banking and Finance, 22(3), 273-291. https://doi.org/https://doi.org/10.1016/S0378-4266(97)00053-8.
Roodman, D. (2009), ‘A note on the theme of too many instruments’, Oxford Bulletin of Economics and Statistics, 71(1), 135-158. https://doi.org/10.1111/j.1468-0084.2008.00542.x.
Saleh, I. & Abu Afifa, M. (2020), ‘The effect of credit risk, liquidity risk and bank capital on bank profitability: Evidence from an emerging market’, Cogent Economics and Finance, 8(1), 1-13. https://doi.org/10.1080/23322039.2020.1814509.
Tran, Q.T., Le, X.T. & Dang, A.T. (2022), ‘The impact of liquidity on profitability - evidence of Vietnamese listed commercial banks’, Banks and Bank Systems, 17(1), 94-103. https://doi.org/10.21511/bbs.17(1).2022.08.
Tu, N.A. (2024), ‘Innovation and foreign direct investment attraction in developing countries’, Cogent Economics & Finance, 12(1), 231238.
